OREANDA-NEWS. December 6, 2012. For the week of November 12 - 16, 2012 the MICEX Index was down 1.26% to 1,383.66 (1,401.32 points as of November 09, 2012).

The RTS Index fell by 1.56% to 1,376.10 (1,397.86 points as of November 09, 2012). The US dollar appreciated by 0.56% against the ruble last week.

The stock market volatility decreased last week with the Russian Volatility Index falling by 3.14% to 25.94 points (26.78 points as of November 09, 2012).

Last week most of the key economy sectors represented on the Russian stock market demonstrated a negative trend. The largest downturn was reported by the industrials with the relevant sector index falling by 3.45%. A significant decrease was also shown by the electric utilities and the financials with the relevant sector indices down 1.48% and 1.29% respectively. The largest upturn was reported by the telecommunications (plus 1.72%).

The MICEX Innovation Index lost 1.47%.

The largest downturn was shown by the small cap companies. The MICEX Small Cap Index lost 1.26%. The MICEX Large Cap Index and the MICEX Mid Cap Index were down 1.12% and 0.82% respectively.

For the week of November 12 - 16, 2012 the Russian stock market showed a negative trend. The MICEX Index was down 1.26% to 1,383.66 (1,401.32 as of November 09, 2012).

At the end of the week the MICEX Index was 4.97% lower than a month ago (1,456.07 points as of October 16, 2012) and 6.71% lower than a year ago (1,483.24 as of November 16, 2011).

Trading volume of securities included into the MICEX Index constituents list traded on the Main market equaled RUB131.17 billion. By the end of the week the market capitalization of the Index component stocks amounted to RUB17,869.26 billion.

19 constituents of the MICEX Index list were pushing the Index down (minus 1.74%) and 11 constituents behaved positively (plus 0.48%).

On the sector level the major negative impact was made by the oil & gas (minus 0.95%) and metallurgy (minus 0.32%). The most negative impact on the MICEX Index was mainly due to the falling prices for ordinary shares of Gazprom (minus 0.53%) followed by Norilsk Nickel (minus 0.27%) and LUKOIL (minus 0.25%).

The oil & gas sector accounted for 53.34% of the MICEX Index total capitalization. The other large weight sectors were the financials (16.08%) and the metallurgy (9.66%).

For the week of November 12 - 16, 2012 the RTS Index fell by 1.56% to 1,376. 10 (1,397.86 as of November 09, 2012). At the end of the week the RTS Index was 7.53% lower than a month ago (1,488.18 as of October 16, 2012) and 9.51% lower than a year ago (1,520.75 as of November 16, 2011).

Last week’s decrease of the RTS Index was accompanied by the decrease of volatility levels, when the Russian Volatility Index RTSVX was down 3.14%.

The US dollar appreciated by 0.56%.

33 constituents of the RTS Index list were pulling the Index down (minus 1.92%), 17 constituents behaved positively (plus 0.36%).

On the sector level the negative impact was caused by the oil & gas (minus 1.16%) and the metallurgy (minus 0.27%).

The negative impact was mainly related to the falling prices of ordinary shares of Gazprom (minus 0.56%), LUKOIL (minus 0.32%) and Surgutneftegas (minus 0.24%).

Debt Market

The Russian Government Bond Index (RGBI, total return) was up 0.14% to 302.59 points last week (134.52 points as of November 02, 2012). The weighted average return of the securities being the part of the calculation formula was down 2 basis points to 7.18%.

The Municipal Bond Index (MICEX MBI TR, total return) showed the positive trend and reached 164.38 basis points growing by 0.16% (164.11 as of November 09, 2012).

The total return value of the MICEX Corporate Bond Index (MICEX CBI TR) was up 0.06% to 220.61 points.

The conservative investment strategy tracking the last week’s pension index could have resulted in a gain of 0.10% per week. The aggressive investment strategy based on the pension index could have brought a loss of 0.07% per week.

The bond overnight repo rate was up 48 basis points (from 5.92% to 6.40%).The equity overnight repo rate gained 32 basis points to 6.12%.

Index futures and options on the FORTS derivatives market

For the week of November 12 - 16, 2012 the total trading volume in index futures and options on the FORTS derivatives market equaled RUB673.95 billion representing 7.72 million contracts.

Last week’s trading volume for the most liquid contract on FORTS, futures contract on the RTS Index, amounted to RUB600.74 billion representing 6.90 million contracts.

The RTS Index futures contract traded in ’ backwardation last week. By the end of the week the RTS Index lost 1.56%, while the March and . December futures contracts were down 1.19% and ’ 1.27% respectively. The total investor’s open interest measured in RTS Index futures increased by 4.43%.

During the week FORTS trading volume in futures contract on the MICEX Index was RUB2.08 billion representing 15.00 thousand contracts. Open interest in the contract on the MICEX Index decreased by 13.97% for the week.

Trading volume in options on RTS Index futures totaled RUB70.15 billion representing 800.74 thousand contracts. Open interest of RUB84.38 billion or 946.40 thousand contracts was fixed. Call options made up 48.86% of the total open interest for these contracts.

The 160.000 strike calls and 135.000 strike puts had the highest open interest. The total investor’s open interest measured in options on the RTS index futures decreased by 17.60%.